Just like we said in the Overnight Report, “In our opinion, this move in the futures is beyond ridiculous”, we saw the S&P Futures (ES) drop from the session highs to a new session low at 1691.75. Currently ES is up 12.75 handles at 1694.75, with 1.37MM minis traded. Session high came in overnight at 1703.75. After bonds exploded on the Summers news yesterday, we have seen the exact opposite happen now, as the sell-off takes the 10 Year Yield to a new session high of 2.864% from the low of 2.77%.
VIX opened green at 14.10, climbed to a session high of 14.49, and dropped slightly below 14. Currently VIX is 14.01 (-1.06%). Protection is being picked up as the potential Taper announcement this Wednesday is keeping VIX and VIX Sept Futures above 14.
Also, another day of Broken Markets, as Self-Help is declared. All of OPRA is halted.
USDJPY 99.0240 EURUSD 1.3238